.
Cherny, Alexander S.'s
Scholarly Papers
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Aggregate Statistics
Total 4,761
Total Citations 60
1.
New Measures for Performance Evaluation
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Cherny, Alexander S. Moscow State University
Madan, Dilip B. University of Maryland - Robert H. Smith School of Business
Posted:
08 Jan 07
Last Revised:
29 Jul 10
1,016(9,177)
31
Cherny, Alexander S. Moscow State University
Madan, Dilip B. University of Maryland - Robert H. Smith School of Business
0
G10, G13, G14
Cherny, Alexander S. Moscow State University
Madan, Dilip B. University of Maryland - Robert H. Smith School of Business
Posted:
08 Jan 07
Last Revised:
28 Apr 08
1,016
31
2.
Cherny, Alexander S. Moscow State University
Madan, Dilip B. University of Maryland - Robert H. Smith School of Business
754(14,502)
6
Alpha VAR, Beta VAR, capital allocation, coherent risk measure, extreme measure, factor risk, risk contribution, risk trading, tail correlation, Tail VAR, Weighted VAR
3.
Cherny, Alexander S. Moscow State University
Douady, Raphael Riskdata
Molchanov, Stanislav A. University of North Carolina (UNC) at Charlotte
Posted:
28 Mar 08
Last Revised:
16 Apr 08
670(17,233)
1
Gussian copula, hedge fund replication, hedge fund risk
4.
Cherny, Alexander S. Moscow State University
Kupper, Michael Vienna Institute of Finance
604(20,029)
3
Divergence utilities, concave monetary utilities, entropic utility, portfolio optimization, risk sharing
5.
Cherny, Alexander S. Moscow State University
Madan, Dilip B. University of Maryland - Robert H. Smith School of Business
489(26,534)
CDO, coherent risk measure, extreme measure, incomplete markets, factor risk, No Strictly Acceptable Opportunities, risk contribution, sensitivity coefficients, valuation measure, Weighted VaR
6.
Madan, Dilip B. University of Maryland - Robert H. Smith School of Business
Cherny, Alexander S. Moscow State University
Posted:
28 Jan 10
Last Revised:
11 May 10
417(32,683)
12
7.
Cherny, Alexander S. Moscow State University
Douady, Raphael Riskdata
Molchanov, Stanislav A. University of North Carolina (UNC) at Charlotte
Posted:
31 Mar 08
Last Revised:
19 Jul 10
408(33,568)
2
Cross-term risk, factor risk, Gaussian copula, hedge fund replication, hedge fund risk, idiosyncratic risk, monomial risk, non-linear regression, risk measurement
8.
Cherny, Alexander S. Moscow State University
Madan, Dilip B. University of Maryland - Robert H. Smith School of Business
398(34,654)
CAPM, coherent risk measure, contact measure, empirical asset pricing, extreme measure, No Better Choice pricing, real-world measure, reward, risk-neutral measure, security market line, sensitivity
9.
Cherny, Alexander S. Moscow State University
Orlov, Dmitri affiliation not provided to SSRN
2(339,013)
1
conditional V@R, coherent risk measure, directional risk contribution, linear risk contribution, minimal extreme measure, MINV@R, Weighted V@R
10.
Cherny, Alexander S. Moscow State University
2(339,013)
3
11.
Cherny, Alexander S. Moscow State University
1(346,610)
1
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